Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0062 |
| Annualized Std Dev | 0.2420 |
| Annualized Sharpe (Rf=0%) | -0.0257 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.4713 |
| Quartile 1 | -0.0053 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0065 |
| Maximum | 0.2104 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0152 |
| Skewness | -5.3851 |
| Kurtosis | 175.2964 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0119 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0147 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0119 |
| Downside Deviation (0%) | 0.0119 |
| Maximum Drawdown | 0.7142 |
| Historical VaR (95%) | -0.0203 |
| Historical ES (95%) | -0.0357 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-05-12 | 2008-11-21 | NA | -0.7142 | 3740 | 639 | NA |
| 2002-05-14 | 2003-03-11 | 2004-11-22 | -0.4329 | 638 | 208 | 430 |
| 2001-08-08 | 2001-09-21 | 2001-12-17 | -0.2020 | 88 | 28 | 60 |
| 1999-01-06 | 1999-04-12 | 1999-06-22 | -0.1225 | 116 | 66 | 50 |
| 2001-02-06 | 2001-03-22 | 2001-05-07 | -0.1133 | 63 | 32 | 31 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.3 | -3 | -1.5 | 0.5 | 0 | 1 | 0.1 | 1.3 | -0.4 | 0.3 | 0.9 | 0 | -1.1 |
| 2000 | 0.1 | -1.2 | 2 | 1.2 | 1.3 | 0.5 | -0.3 | 0.4 | 0 | 0.7 | 0.5 | 1 | 6.4 |
| 2001 | -0.2 | -1.5 | -0.7 | 3 | 0 | -0.4 | 1.5 | -0.5 | -0.2 | -0.2 | -0.5 | 0.4 | 0.7 |
| 2002 | -0.9 | 0.5 | -0.8 | -0.1 | 0 | -1.2 | 0.6 | -0.4 | 2.8 | -2.1 | 0.8 | 0.5 | -0.3 |
| 2003 | -1.7 | 1.8 | -1.5 | 0.2 | 1.3 | -0.6 | -0.1 | 0.1 | 0.8 | 0.2 | 0.4 | 0 | 0.9 |
| 2004 | 0.1 | 0.3 | -0.5 | 0.6 | 1.2 | 1.5 | 0.2 | 0.7 | 0.8 | 0.8 | 0.5 | 1.3 | 7.6 |
| 2005 | 0.9 | -0.6 | -0.4 | 0.3 | -0.7 | -0.9 | 0.2 | -1.8 | -1.2 | 0 | 1.6 | 1.2 | -1.4 |
| 2006 | 0.9 | 0.2 | 0 | 1 | 1.1 | -0.5 | 0.4 | 0.8 | -0.2 | -0.2 | 0 | 0.6 | 4.2 |
| 2007 | 0 | -2 | 0.6 | 0.5 | 0.7 | -0.3 | -1.6 | 0.4 | 0.1 | -0.9 | 0.6 | -0.4 | -2.3 |
| 2008 | 2 | -2.7 | 2.6 | 1.7 | 1.3 | -1.9 | -2.9 | -0.3 | -2.3 | 0.1 | -7.5 | 4.1 | -6.1 |
| 2009 | -2.2 | -2.9 | 1.4 | 0.2 | 4 | 0.9 | 0.7 | -2.7 | -2.8 | -2.2 | 0.5 | 0.2 | -5 |
| 2010 | 1.5 | 1.3 | 1.1 | -2.5 | -0.8 | -1.7 | 1.2 | 2.6 | -0.4 | -0.4 | 2.4 | 0 | 4.1 |
| 2011 | 2.1 | -1.9 | -0.2 | 0.7 | -1.1 | 1.4 | 0.3 | -2.5 | -2 | -4.1 | -0.3 | 0.6 | -6.9 |
| 2012 | 1.5 | 1.1 | 0 | -0.2 | -3.4 | 1.6 | -0.5 | -0.1 | -0.5 | 1.2 | 0.1 | 0.6 | 1.4 |
| 2013 | 1.5 | 0.1 | -0.2 | -0.2 | -0.5 | 1.9 | 1.6 | -1.4 | 0.8 | -0.2 | -0.7 | -1.6 | 1 |
| 2014 | -0.8 | 0.2 | 1.3 | -0.8 | -0.1 | 0.9 | -0.9 | 0.1 | -1.6 | 1.3 | -1.3 | -0.6 | -2.5 |
| 2015 | -1.5 | 1.3 | -0.3 | 0.5 | 0.2 | 1.6 | 1 | -0.6 | -0.4 | 0.7 | -0.2 | -0.1 | 2.2 |
| 2016 | 0 | 2 | 0.2 | -0.9 | 0.3 | 0.5 | -0.2 | -0.1 | 1.4 | -0.6 | -0.5 | -0.4 | 1.6 |
| 2017 | 0.1 | 1.5 | 0.1 | 0.3 | 0.4 | 0.4 | 0.2 | 0.4 | 0.5 | 0.1 | -1.1 | 0.1 | 3.1 |
| 2018 | -0.1 | -1.4 | 1.4 | -0.3 | 1 | 0.7 | -0.1 | -0.2 | -0.4 | 1.2 | 1.6 | 0.8 | 4.3 |
| 2019 | 0.4 | 0.6 | 0.8 | 0.1 | -0.4 | 0.7 | -1.9 | 0 | -1 | 3.6 | 0.1 | -0.6 | 2.2 |
| 2020 | -1.5 | -2.4 | -6 | -1.5 | 0.2 | 0.9 | 0 | -0.5 | 0.7 | -0.2 | 1.7 | 0.1 | -8.4 |
| 2021 | 1.1 | 4.2 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
